CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 29-Aug-2011
Day Change Summary
Previous Current
26-Aug-2011 29-Aug-2011 Change Change % Previous Week
Open 1.2610 1.2399 -0.0211 -1.7% 1.2675
High 1.2678 1.2404 -0.0274 -2.2% 1.2779
Low 1.2265 1.2143 -0.0122 -1.0% 1.2265
Close 1.2395 1.2274 -0.0121 -1.0% 1.2395
Range 0.0413 0.0261 -0.0152 -36.8% 0.0514
ATR 0.0273 0.0272 -0.0001 -0.3% 0.0000
Volume 38,080 25,369 -12,711 -33.4% 113,055
Daily Pivots for day following 29-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.3057 1.2926 1.2418
R3 1.2796 1.2665 1.2346
R2 1.2535 1.2535 1.2322
R1 1.2404 1.2404 1.2298 1.2339
PP 1.2274 1.2274 1.2274 1.2241
S1 1.2143 1.2143 1.2250 1.2078
S2 1.2013 1.2013 1.2226
S3 1.1752 1.1882 1.2202
S4 1.1491 1.1621 1.2130
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4022 1.3722 1.2678
R3 1.3508 1.3208 1.2536
R2 1.2994 1.2994 1.2489
R1 1.2694 1.2694 1.2442 1.2587
PP 1.2480 1.2480 1.2480 1.2426
S1 1.2180 1.2180 1.2348 1.2073
S2 1.1966 1.1966 1.2301
S3 1.1452 1.1666 1.2254
S4 1.0938 1.1152 1.2112
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.2751 1.2143 0.0608 5.0% 0.0214 1.7% 22% False True 24,392
10 1.2884 1.2143 0.0741 6.0% 0.0227 1.9% 18% False True 27,627
20 1.4167 1.2143 0.2024 16.5% 0.0336 2.7% 6% False True 46,486
40 1.4167 1.1738 0.2429 19.8% 0.0252 2.1% 22% False False 46,707
60 1.4167 1.1701 0.2466 20.1% 0.0208 1.7% 23% False False 43,741
80 1.4167 1.1195 0.2972 24.2% 0.0187 1.5% 36% False False 32,900
100 1.4167 1.0910 0.3257 26.5% 0.0165 1.3% 42% False False 26,329
120 1.4167 1.0725 0.3442 28.0% 0.0146 1.2% 45% False False 21,944
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0051
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.3513
2.618 1.3087
1.618 1.2826
1.000 1.2665
0.618 1.2565
HIGH 1.2404
0.618 1.2304
0.500 1.2274
0.382 1.2243
LOW 1.2143
0.618 1.1982
1.000 1.1882
1.618 1.1721
2.618 1.1460
4.250 1.1034
Fisher Pivots for day following 29-Aug-2011
Pivot 1 day 3 day
R1 1.2274 1.2411
PP 1.2274 1.2365
S1 1.2274 1.2320

These figures are updated between 7pm and 10pm EST after a trading day.

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